Related papers: Correction. Error estimates for binomial approxima…
The Annals of Applied Probability 16 (2006) 984--1033 [URL: http://projecteuclid.org/euclid.aoap/1151592257]
We construct algorithms via binomial approximations for computation of prices of game put options and obtain estimates of approximation errors.
We justify and give error estimates for binomial approximations of game (Israeli) options in the Black--Scholes market with Lipschitz continuous path dependent payoffs which are new also for usual American style options. We show also that…
A correction to the specification of the mechanism proposed in "An Efficient Game Form for Unicast Service Provisioning" is given.
We show that the shortfall risk of binomial approximations of game (Israeli) options converges to the shortfall risk in the corresponding Black--Scholes market considering Lipschitz continuous path-dependent payoffs for both discrete- and…
We derive error estimates for multinomial approximations of American options in a multidimensional jump--diffusion Merton's model. We assume that the payoffs are Markovian and satisfy Lipschitz type conditions. Error estimates for such type…
We obtain error estimates for strong approximations of a diffusion with a diffusion matrix $\sigma$ and a drift b by the discrete time process defined recursively X_N((n+1)/N) = X_N(n/N)+N^{1/2}\sigma(X_N(n/N))\xi(n+1)+N^{-1}b(XN(n/N));…
We correct Definition 6.3, Proposition 6.7, and Section 7 in the published version of our paper.
The ``losing positions" of certain combinatorial games constitute linear error detecting and correcting codes. We show that a large class of games that can be cast in the form of *annihilation games*, provides a potentially polynomial…
We show that prices and shortfall risks of game (Israeli) barrier options in a sequence of binomial approximations of the Black--Scholes (BS) market converge to the corresponding quantities for similar game barrier options in the BS market…
Estimation and inference in dynamic discrete choice models often relies on approximation to lower the computational burden of dynamic programming. Unfortunately, the use of approximation can impart substantial bias in estimation and results…
Correction to Annals of Probability 29 (2001) 1612--1624 [doi:10.1214/aop/1015345764].
In this short note, we obtain error estimates for Riemann sums of some singular functions.
Coherent lower previsions are general probabilistic models allowing incompletely specified probability distributions. However, for complete description of a coherent lower prevision -- even on finite underlying sample spaces -- an infinite…
In this article, we study the rate of convergence of prices when a model is approximated by some simplified model. We also provide a method how explicit error formula for more general options can be obtained if such formula is available for…
In this paper, we will give some estimation for the average error of the prime number theorem.
An improved exponential time algorithm for Energy Games and Mean Payoff Games has been recently proposed in ICALP 19. The new algorithm prevents some of the repetitive operations performed by the classic value iteration algorithm of Brim et…
In this paper we study recent developments in the approximation of the spread option pricing. As the Kirk\'s Approximation is extremely flawed in the cases when the correlation is very high, we explore a recent development that allows…
We study deterministic optimal control problems for differential games with finite horizon. We propose new approximations of the strategies in feedback form, and show error estimates and a convergence result of the value in some weak sense…
We provide supplementary appendices to the paper Misere quotients for impartial games. These include detailed solutions to many of the octal games discussed in the paper, and descriptions of the algorithms used to compute most of our…